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An improved variant of the rare event simulation method RESTART using prolonged retrials
Villén-Altamirano, José - In: Operations research perspectives 6 (2019), pp. 1-9
RESTART is a widely applicable accelerated simulation technique that allows the evaluation of extremely low … explain the bad behaviour of standard Splitting compared with RESTART. … the system state, called the importance function. In RESTART with prolonged retrials, all but one path are cut when they …
Persistent link: https://www.econbiz.de/10012029520
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Faster comparison of stopping times by nested conditional Monte Carlo
Dickmann, Fabian; Schweizer, Nikolaus - In: The journal of computational finance 20 (2016) 2, pp. 101-123
Persistent link: https://www.econbiz.de/10011656716
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Simulation-based prediction
Lim, Eunji; Glynn, Peter W. - In: Operations research 71 (2023) 1, pp. 47-60
Persistent link: https://www.econbiz.de/10014308246
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A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.; Platen, Eckhard - 2014
Persistent link: https://www.econbiz.de/10011344801
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Defect reduction justification by quantifying hidden costs in bearing production
Bagchi, Tapan - In: International journal of operations and quantitative … 19 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010198936
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Variance reduction with Monte Carlo estimates of error rates in multivariate classification
Weihs, Claus; Calzolari, Giorgio; Röhl, Michael Claus - 1999
Persistent link: https://www.econbiz.de/10009789908
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Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Dang, Duy Minh; Jackson, Kenneth R.; Mohammadi, Mohammadreza - In: Applied mathematical finance 22 (2015) 5/6, pp. 522-552
Persistent link: https://www.econbiz.de/10011490623
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Variance reduction with array-RQMC for Tau-Leaping simulation of stochastic biological and chemical reaction networks
Puchhammer, Florian; Ben Abdellah, Amal; L'Ecuyer, Pierre - 2021
Persistent link: https://www.econbiz.de/10012599478
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An efficient variance reduction-based simulation algorithm for pricing arithmetic Asian options
Mehrdoust, Farshid; Noorani, Idin - In: Annals of financial economics 15 (2020) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012642935
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Online risk monitoring using offline simulation
Jiang, Guangxin; Hong, L. Jeff; Nelson, Barry L. - In: INFORMS journal on computing : JOC 32 (2020) 2, pp. 356-375
Persistent link: https://www.econbiz.de/10012242763